Markowitz Portfolio Optimization

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Desired Portfolio Return 0.15 Constraint in Solver

Stock Returns Portfolio Allocation

ATT GMC USX TBILL ATT 0.136
0.111 0.223 0.122 0.05 GMC 0.392 Values to be changed
0.114 0.46 3.00E-03 0.05 USX 0.120 by Solver
0.323 -0.09 0.111 0.05 TBIL 0.352
1.00E-03 -0.107 0.054 0.05 Total 1
-0.209 0.12 0.169 0.05
0.223 0.309 -0.035 0.05 Constraint
in Solver
0.26 0.411 0.133 0.05
0.21 0.05 0.732 0.05 Covariance Matrix
0.144 0.1 0.021 0.05 ATT GMC USX
0.412 0.445 0.131 0.05 ATT 0.0412268 0.0227 0.0305628
-0.013 0.123 6.00E-03 0.05 GMC 0.0226614 0.0479 0.0150006
0.553 0.55 0.908 0.05 USX 0.0305628 0.015 0.0903057
Mean Returns 0.177417 0.2161667 0.19625 0.05 TBIL 3.5017E-35 -2E-34 -1.401E-34
Variances 0.0024706 0.0093 0.00249

INSTRUCTIONS
Set your desired portfolio return
Start the Excel Solver and
i) Minimize the Portfolio Variance
ii) Change "By changing variable cells" to the range of cells containing the Portfolio Allocation
iii) Set the constraints (the total portfolio allocation must add up to one, and the portfolio return should be you d
iv) Click Solve
 Values to be changed
by Solver

TBILL
3.5E-35
-2.45E-34
-1.4E-34
5.25E-35 Porfolio Variance
Value to
-3.16E-35 0.014247 be minimized

o return should be you desired value)